Showing 1 - 1 of 1
In this paper we study the convergence rate of the numerical approximation of the quantiles of the marginal laws of (Xt), where (Xt) is a diffusion process, when one uses a Monte Carlo method combined with the Euler discretization scheme. Our convergence rate estimates are obtained under two...
Persistent link: https://www.econbiz.de/10008875678